I have an swf file that load images from an external xml file. When I run it with flash player external the images load perfectly. But When I import the swf into Director Castmember, the images does not load.

Do you know how to get that when I import swf load also the images through its xml file when play into Director?

I have put the xml in the same directory that the swf and director movie.

You need to make sure that the swf is linked as an external cast member. If you import it into the cast, then it will not have access to other external files. But if it is linked, then it will. When you do the import of the swf, there is an option in the dropdown box for "Standard Import" which you are using... change that to "link to external file" and you'll be good. Also, of course, you will need to include the swf file along with the Director projector since it will not be embedded in the dir.